Reference manual - version ored_version
#include <ored/portfolio/optionwrapper.hpp>
Inheritance diagram for OptionWrapper:Public Member Functions | |
| OptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const std::vector< QuantLib::Date > &exerciseDate, const bool isPhysicalDelivery, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument >> &undInst, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument >> &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument >>(), const std::vector< Real > &additionalMultipliers=std::vector< Real >()) | |
| Constructor. | |
| Public Member Functions inherited from InstrumentWrapper | |
| InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument >> &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument >>(), const std::vector< Real > &additionalMultipliers=std::vector< Real >()) | |
| QuantLib::Real | additionalInstrumentsNPV () const |
| QuantLib::ext::shared_ptr< QuantLib::Instrument > | qlInstrument (const bool calculate=false) const |
| Inspectors. More... | |
| Real | multiplier () const |
| const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > & | additionalInstruments () const |
| const std::vector< Real > & | additionalMultipliers () const |
| boost::timer::nanosecond_type | getCumulativePricingTime () const |
| Get cumulative timing spent on pricing. | |
| std::size_t | getNumberOfPricings () const |
| Get number of pricings. | |
| void | resetPricingStats () const |
| Reset pricing statistics. | |
InstrumentWrapper interface | |
| bool | isLong_ |
| bool | isPhysicalDelivery_ |
| std::vector< QuantLib::Date > | contractExerciseDates_ |
| std::vector< QuantLib::Date > | effectiveExerciseDates_ |
| std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > | underlyingInstruments_ |
| QuantLib::ext::shared_ptr< QuantLib::Instrument > | activeUnderlyingInstrument_ |
| Real | undMultiplier_ |
| bool | exercised_ |
| bool | exercisable_ |
| QuantLib::Date | exerciseDate_ |
| void | initialise (const std::vector< QuantLib::Date > &dates) override |
| Initialise with the given date grid. | |
| void | reset () override |
| reset is called every time a new path is about to be priced. More... | |
| QuantLib::Real | NPV () const override |
| Return the NPV of this instrument. | |
| Real | multiplier2 () const override |
| const std::map< std::string, boost::any > & | additionalResults () const override |
| Return the additional results of this instrument. | |
| void | updateQlInstruments () override |
| call update on enclosed instrument(s) | |
| bool | isOption () override |
| is it an Option? | |
| const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > & | underlyingInstruments () const |
| return the underlying instruments | |
| const QuantLib::ext::shared_ptr< QuantLib::Instrument > & | activeUnderlyingInstrument (const bool calculate=false) const |
| bool | isLong () const |
| return true if option is long, false if option is short | |
| bool | isExercised () const |
| return true if option is exercised | |
| bool | isPhysicalDelivery () const |
| return true for physical delivery, false for cash settlement | |
| Real | underlyingMultiplier () const |
| the underlying multiplier | |
| const QuantLib::Date & | exerciseDate () const |
| the (actual) date the option was exercised | |
| void | enableExercise () |
| disable exercise decisions | |
| void | disableExercise () |
| enable exercise decisions | |
| virtual bool | exercise () const =0 |
Additional Inherited Members | |
| Protected Member Functions inherited from InstrumentWrapper | |
| Real | getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const |
| Protected Attributes inherited from InstrumentWrapper | |
| QuantLib::ext::shared_ptr< QuantLib::Instrument > | instrument_ |
| Real | multiplier_ |
| std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > | additionalInstruments_ |
| std::vector< Real > | additionalMultipliers_ |
| std::size_t | numberOfPricings_ = 0 |
| boost::timer::nanosecond_type | cumulativePricingTime_ = 0 |
Option Wrapper.
Wrapper Class for Options Prices underlying instrument if option has been exercised Handles Physical and Cash Settlement
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overridevirtual |
reset is called every time a new path is about to be priced.
For path dependent Wrappers, this is when internal state should be reset
Implements InstrumentWrapper.
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overridevirtual |
multiplier to be applied on top of multiplier(), e.g. -1 for short options
Reimplemented from InstrumentWrapper.
| const QuantLib::ext::shared_ptr<QuantLib::Instrument>& activeUnderlyingInstrument | ( | const bool | calculate = false | ) | const |
return the active underlying instrument Pass true if you trigger a calculation on the returned instrument and want to record the timing for that calculation. If in doubt whether a calculation is triggered, pass false.
